哪位高手帮忙看一下,是否存在协整关系,是否可以做因果关系检验,多谢!!!!!
Date: 02/25/12 Time: 23:20
Sample (adjusted): 1999M10 2011M12
Included observations: 147 after adjustments
Trend assumption: No deterministic trend
Series: CPI PPI CGPI RMPI
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.139678 46.83817 40.17493 0.0093
At most 1 * 0.101724 24.72231 24.27596 0.0439
At most 2 0.051955 8.952430 12.32090 0.1718
At most 3 0.007519 1.109428 4.129906 0.3401
Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None 0.139678 22.11586 24.15921 0.0923
At most 1 0.101724 15.76988 17.79730 0.0983
At most 2 0.051955 7.843002 11.22480 0.1847
At most 3 0.007519 1.109428 4.129906 0.3401
Max-eigenvalue test indicates no cointegration at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values